Soak the clams in cold water for an hour to help remove any sand or grit inside them.
Heat the olive oil in a medium-sized, heavy-based saucepan until hot but not smoking hot.
Add the garlic and onion and reduce the heat. Fry, stirring, for 2-3 minutes.
Add the chili and bay leaves and fry, stirring now and then, for a further 2-3 minutes, until the onion has softened.
Drain the soaking clams and add to the saucepan. Increase the heat to high and pour in the sherry.
Cover the pot and cook, covered, for 2-3 minutes, shaking the pot once or twice.
Uncover the saucepan, check that the clams have opened and, using a slotted spoon, remove the clams from the pot. Place the clams in a warm serving bowl, cover and set aside.
Meanwhile, briskly cook the sherry in the saucepan until reduced by a third. Stir in the paprika.
Pour the sherry sauce over the clams, sprinkle with parsley and serve at once with lemon wedges.